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Finding Affordable Historical Trade-by-Trade Equity Data

Article Quant Q&A · Author: jamesralph8555
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Summary

The document discusses how a student on a limited budget might obtain historical trade-by-trade prices and sizes for NYSE and Nasdaq stocks. The question distinguishes exchange-wide coverage from data limited to trades executed on a single venue, and notes that data delayed by minutes or hours may be acceptable for a project.

Responses suggest checking whether a university provides access to TAQ through WRDS and asking a professor who researches market microstructure. Other replies mention retrieving ticker data through a brokerage account and considering paid data vendors. The discussion offers leads rather than a verified comparison: it does not establish current prices, coverage, licensing terms, or the effort needed to collect data. Availability and suitability should therefore be checked with the institution or provider before relying on any source.

Key ideas

  • University access to TAQ through WRDS may provide historical trades and quotes for research.
  • A professor working in market microstructure may be able to clarify institutional data access.
  • Brokerage access and commercial vendors are also mentioned as possible data sources.
  • The discussion does not verify current costs, coverage, or licensing conditions.

Tags

EquitiesMarket microstructureExecution
Full text
# Affordable NASDAQ/NYSE Tick-By-Tick


# Affordable NASDAQ/NYSE Tick-By-Tick












I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a project, so I am on a limited budget. So far I know of TradingPhysics offers \$0.20 per stock per day, and IQfeed would be around $100 a month. IEX seems to only report trades executed with IEX, which makes it unusable for my purchases. Are there any better services?

## Answer by kurtosis (score 2)

https://quant.stackexchange.com/a/55922

Check if your university has TAQ (trades and quotes), often available through Wharton Research Data Services (WRDS). Professors who research about market microstructure may use TAQ for research. If so, you can try asking a professor to get you the data for your project.

When I looked, I could not find free intraday data on Quandl.

## Answer by julie1977 (score 0)

https://quant.stackexchange.com/a/55911

Open an an account in TD Ameritrade which is free. You will have to write code to get ticker wise data. Quandl provides data at a cost.

## Answer by Mike Williams (score 0)

https://quant.stackexchange.com/a/59001

Are you looking for historical intraday data? AlgoSeek might be worth checking out.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.